债券市场波动如何影响银行业系统性风险——基于间接业务关联网络视角  

How Bond Market Volatility Affects Banking Systemic Risk:The Perspective of Indirect Associated Network

作　　者：杨丹卉 方意 王晏如 Yang Danhui;Fang Yi;Wang Yanru(School of Finance,Central University of Finance and Economics,Beijing 102206,China;National Academy of Development and Strategy,Renmin University of China,Beijing 100872,China)

机构地区：[1]中央财经大学金融学院,102206 [2]中国人民大学国家发展与战略研究院,100872

出　　处：《南开经济研究》2023年第8期161-180,共20页Nankai Economic Studies

基　　金：国家自然科学基金面上项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(71973162);国家自然科学基金面上项目“金融文本大数据与银行业系统性风险:指标构建、应用与评估整合”(72173144);国家自然科学基金面上项目“基于GAS模型的系统性金融风险测度及其在宏观经济预测中的应用研究”(71801117);国家自然科学基金面上项目“银行流动性错配对我国银行系统性风险影响机制与监管研究”(72303267)的资助。

摘　　要：近年来,银行持有债券投资持续增加,债券市场的波动将对银行业系统性风险产生重要影响。基于此,本文将债券价格波动引入持有共同资产的抛售传染网络模型,从业务层面构建度量债券市场波动对银行业系统性风险影响的AV指标,并从银行杠杆、持有债券投资规模、间接关联性和债券市场波动等方面对该指标进行因素分解,同时将该指标与尾部依赖模型的△CoVaR、MES等指标进行对比,分析在不同阶段银行业系统性风险的主要驱动因子。研究结果表明:(1)从全样本来看,债券市场波动驱动的银行业系统性风险水平基本呈现出“前期下降,中期平缓上升,后期高位震荡”的阶段性特征;(2)从影响因素来看,持有债券投资规模是债券市场波动对银行业系统性风险的主要影响因素,而债券市场波动则对风险指标的局部波动产生作用;(3)从尾部依赖模型指标对比来看,从2017年起,随着银行业风险防控重点的明确,债券市场波动对银行业整体系统性风险不再发挥主要驱动作用。本文认为,银行应加强债券投资业务管理,监管机构也应加强风险源头防控,将债券投资等非传统领域风险纳入银行风险防控重点领域。In recent years,bond investment held by banks has continued to increase,and the volatility of the bond market will have an important impact on banking systemic risk.Based on this,this paper introduces bond price fluctuation into the selling contagion network model of holding common assets,constructs an AV indicator that measures the impact of bond market volatility on banking systemic risk,and decomposes the factors of the indicator from the aspects of leverage,scale of bond investment,indirect correlation and bond market fluctuation,and compares the indicator with indicators from the tail-dependent model such as △CoVaR,MES,and analyzes the main driving factors of banking systemic risk at different stages.The results show that:(1)From the perspective of the whole sample,the banking systemic risk driven by bond market volatility basically shows the phased characteristics of"decline in the early stage,moderate rise in the medium term,and high shock in the later stage";(2)From the perspective of influencing factors,the scale of bond investment is the main influencing factor of bond market fluctuations on banking systemic risk,while bond market fluctuations have an effect on local fluctuations in risk indicators;(3)Compared with indicators from the tail-dependent model,since 2017,with the clarification of the focus of risk prevention and control in the banking industry,bond market fluctuations no longer play a major driving role in the overall banking systemic risk.This paper argues that banks should strengthen the management of bond investment business,and regulators should also strengthen the prevention and control of risk sources,and include risks in non-traditional areas such as bond investment into the key areas of bank risk prevention and control.

关 键 词：银行债券投资 系统性风险 持有共同资产抛售 网络模型 时变风险 

分 类 号：F832[经济管理—金融学]